In [8]:
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
import random
import datetime
import cryptocompare as cc
import pandas as pd
import numpy as np
from tqdm.autonotebook import tqdm
import matplotlib.pyplot as plt
from sklearn.preprocessing import StandardScaler
from tslearn.clustering import TimeSeriesKMeans, silhouette_score
from sklearn.cluster import KMeans
pd.set_option('display.max_colwidth', None)
random.seed(a=322, version=2)
C:\Users\oleg\AppData\Local\Temp\ipykernel_15100\1226490409.py:6: TqdmExperimentalWarning: Using `tqdm.autonotebook.tqdm` in notebook mode. Use `tqdm.tqdm` instead to force console mode (e.g. in jupyter console) from tqdm.autonotebook import tqdm
crypto_list = cc.get_coin_list(format=True)
cripto_list_sample = random.sample(crypto_list, 1000)
if 'BTC' not in cripto_list_sample:
cripto_list_sample.insert(0, 'BTC')
else:
idx = cripto_list_sample.index('BTC')
_ = cripto_list_sample[0]
cripto_list_sample[0] = 'BTC'
cripto_list_sample[idx] = _
# не все тикеты имеют конвертацию в USD, для парсинга > 50 тикеров нужна платная подписка
def get_full_ticker_df(case: str, cripto_list_sample: list, N: int=50):
assert case in ['day','hour','min'], "case should be in [day, hour, min]"
iterator = 0
df_full = []
for ticker in tqdm(cripto_list_sample):
if case == 'day': data = cc.get_historical_price_day(ticker, currency='USD', limit=30)
elif case == 'hour': data = cc.get_historical_price_hour(ticker, currency='USD', limit=3*24)
elif case == 'min': data = cc.get_historical_price_minute(ticker, currency='USD', limit=60)
if data:
iterator += 1
df = pd.DataFrame(data=data)[['time','close']].rename({'close': ticker}, axis=1)
df_full.append(df)
if iterator == N:
break
df_full = pd.concat(df_full, axis=1, ignore_index=False)
df_full = df_full.loc[:,~df_full.columns.duplicated()].copy()
df_full['time'] = pd.to_datetime(df_full['time'], unit='s')
df_full = df_full.set_index('time')
return df_full
full_ticker_df = get_full_ticker_df('day', cripto_list_sample, 50)
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[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] CCCAGG market does not exist for this coin pair (GFCE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEXBT-USD) [ERROR] CCCAGG market does not exist for this coin pair (NXD-USD) [ERROR] CCCAGG market does not exist for this coin pair (BPRIVA-USD) [ERROR] CCCAGG market does not exist for this coin pair (GOFX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CALC-USD) [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] CCCAGG market does not exist for this coin pair (KOKO-USD) [ERROR] CCCAGG market does not exist for this coin pair (CQST-USD) [ERROR] CCCAGG market does not exist for this coin pair (LIZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (EXCC-USD) [ERROR] CCCAGG market does not exist for this coin pair (ESG-USD) [ERROR] CCCAGG market does not exist for this coin pair (VSD-USD) [ERROR] CCCAGG market does not exist for this coin pair (MYRA-USD) [ERROR] CCCAGG market does not exist for this coin pair (LQDR-USD) [ERROR] CCCAGG market does not exist for this coin pair (PERMIAN-USD) [ERROR] CCCAGG market does not exist for this coin pair (VPP-USD) [ERROR] CCCAGG market does not exist for this coin pair (DSCVR-USD) [ERROR] CCCAGG market does not exist for this coin pair (BSOV-USD)
full_ticker_df.head(3)
| BTC | BLOC | ETBS | LUA | LVX | DDX | GMAT | BTBL | RPL | MOT | ... | GC | PHC | GLC | TDFB | NFTX | MEME | NOR | BBS | LGX | CAID | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| time | |||||||||||||||||||||
| 2023-06-23 | 30700.29 | 0.000307 | 9.200000e-07 | 0.01294 | 0.1569 | 0.3066 | 0.000076 | 0.000155 | 40.70 | 0.06294 | ... | 0.0045 | 0.000215 | 0.01367 | 0.01800 | 12.43 | 0.03500 | 0.05373 | 3.100000e-07 | 0 | 0.000041 |
| 2023-06-24 | 30548.03 | 0.000305 | 9.200000e-07 | 0.01294 | 0.1569 | 0.3023 | 0.000075 | 0.000916 | 38.43 | 0.06262 | ... | 0.0045 | 0.000214 | 0.01100 | 0.01457 | 12.41 | 0.03299 | 0.09898 | 3.100000e-07 | 0 | 0.000045 |
| 2023-06-25 | 30473.33 | 0.000305 | 9.100000e-07 | 0.01294 | 0.1569 | 0.3049 | 0.000076 | 0.000110 | 38.63 | 0.06247 | ... | 0.0045 | 0.000213 | 0.01778 | 0.01457 | 12.71 | 0.03322 | 0.04114 | 3.000000e-07 | 0 | 0.000045 |
3 rows × 50 columns
full_ticker_df.T.head(3)
| time | 2023-06-23 | 2023-06-24 | 2023-06-25 | 2023-06-26 | 2023-06-27 | 2023-06-28 | 2023-06-29 | 2023-06-30 | 2023-07-01 | 2023-07-02 | ... | 2023-07-14 | 2023-07-15 | 2023-07-16 | 2023-07-17 | 2023-07-18 | 2023-07-19 | 2023-07-20 | 2023-07-21 | 2023-07-22 | 2023-07-23 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC | 3.070029e+04 | 3.054803e+04 | 3.047333e+04 | 3.027461e+04 | 3.069821e+04 | 3.008024e+04 | 3.044653e+04 | 3.047100e+04 | 3.059071e+04 | 3.061842e+04 | ... | 3.032963e+04 | 3.029863e+04 | 3.024817e+04 | 3.014760e+04 | 2.986332e+04 | 2.991831e+04 | 2.980967e+04 | 2.991093e+04 | 2.979037e+04 | 29900.370000 |
| BLOC | 3.070000e-04 | 3.055000e-04 | 3.047000e-04 | 3.027000e-04 | 3.070000e-04 | 3.008000e-04 | 3.045000e-04 | 3.047000e-04 | 3.059000e-04 | 3.062000e-04 | ... | 3.033000e-04 | 3.030000e-04 | 3.025000e-04 | 3.015000e-04 | 2.986000e-04 | 2.992000e-04 | 2.981000e-04 | 2.991000e-04 | 2.979000e-04 | 0.000299 |
| ETBS | 9.200000e-07 | 9.200000e-07 | 9.100000e-07 | 9.100000e-07 | 9.200000e-07 | 9.000000e-07 | 9.100000e-07 | 9.100000e-07 | 9.200000e-07 | 9.200000e-07 | ... | 9.100000e-07 | 9.100000e-07 | 9.100000e-07 | 9.000000e-07 | 9.000000e-07 | 9.000000e-07 | 8.900000e-07 | 9.000000e-07 | 8.900000e-07 | 0.897000 |
3 rows × 31 columns
def scale_and_plot_ticker_df(full_ticker_df):
scaler = StandardScaler()
tickers_scaled = scaler.fit_transform(full_ticker_df).T
pd.DataFrame(data=tickers_scaled.T, index=full_ticker_df.index, columns=full_ticker_df.columns).plot()
return(tickers_scaled)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
def plot_clustering_metrics(tickers_scaled: pd.Series, metric: str="euclidean"):
distortions = [] # Сумма кв расстояний от объектов до центра кластера, взвешенная по весам (при их наличии)
silhouette = []
K = range(2, 10)
for k in tqdm(K):
kmeanModel = TimeSeriesKMeans(n_clusters=k, metric=metric, n_jobs=6, max_iter=10, n_init=5)
kmeanModel.fit(tickers_scaled)
distortions.append(kmeanModel.inertia_)
silhouette.append(silhouette_score(tickers_scaled, kmeanModel.labels_, metric=metric))
# silhouette_score считает насколько чисты кластеры - (от -1 до 1, больше, лучше)
fig, ax1 = plt.subplots(figsize=(6, 3))
ax2 = ax1.twinx()
ax1.plot(K, distortions, linestyle='--', marker='o', markersize=10, alpha=0.5, c='b')
ax2.plot(K, silhouette, linestyle='--', marker='o', markersize=10, alpha=0.5, c='r')
ax1.set_xlabel('№ of clusters')
ax1.set_ylabel('Distortion', color='b')
ax2.set_ylabel('Silhouette', color='r')
plt.show()
plot_clustering_metrics(tickers_scaled, "euclidean")
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def train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, metric: str="euclidean"):
ts_kmeans = TimeSeriesKMeans(n_clusters=n_clusters, metric=metric, n_jobs=6, max_iter=10)
ts_kmeans.fit(tickers_scaled)
for cluster_number in range(n_clusters): # Построим усредненные ряды внутри каждого кластера
plt.plot(ts_kmeans.cluster_centers_[cluster_number, :, 0].T, label=cluster_number)
plt.title("Cluster centroids")
plt.legend()
plt.show()
df = full_ticker_df.copy()
df = df.T.reset_index().rename({'index': 'ticker'}, axis=1)
df.columns.name = ''
df['cluster'] = ts_kmeans.predict(tickers_scaled)
return ts_kmeans, df
n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "euclidean")
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
# число тикетов в кластерах
def show_tikers_in_claster(data):
results = pd.DataFrame(data.groupby(['cluster'])['ticker'].agg(lambda x: ' '.join(x)))
results['№ of tickers in claster'] = data.groupby(['cluster'])['ticker'].count()
return results
results_of_clustering = {}
results_of_clustering['day'] = show_tikers_in_claster(df)
results_of_clustering['day']
| ticker | № of tickers in claster | |
|---|---|---|
| cluster | ||
| 0 | APM G1X | 2 |
| 1 | ETBS LUA LVX GMAT BTBL MOT CHSB AEN YIELD GMT MART EDR DARK BITTO HBD WAB MWC STORJ CSNO NFTX LGX | 21 |
| 2 | BTC BLOC RPL SWC SOLA AVH MDM SSD WCT FTX WHO ZIPT NOBS GC PHC BBS | 16 |
| 3 | DDX FIDA TDFB | 3 |
| 4 | NFD LOON NOR | 3 |
| 5 | CQT LAYER GLC MEME CAID | 5 |
def plot_cluster_tickers(current_cluster):
fig, ax = plt.subplots(
int(np.ceil(current_cluster.shape[0]/4)),
4,
figsize=(15, 3*int(np.ceil(current_cluster.shape[0]/4)))
)
fig.autofmt_xdate(rotation=45)
ax = ax.reshape(-1)
for index, (_, row) in enumerate(current_cluster.iterrows()):
ax[index].plot(row[1:-1])
ax[index].set_title(f"{row['ticker']}\n{row['cluster']}")
plt.xticks(rotation=45)
plt.tight_layout()
plt.show()
def plot_cluster_tickers_for_clusters(df, n_clusters):
for cluster in range(n_clusters):
print("=================================================================================")
print(f" Cluster number: {cluster}")
print("=================================================================================")
plot_cluster_tickers(df[df['cluster']==cluster])
plot_cluster_tickers_for_clusters(df, n_clusters)
=================================================================================
Cluster number: 0
=================================================================================
=================================================================================
Cluster number: 1
=================================================================================
=================================================================================
Cluster number: 2
=================================================================================
=================================================================================
Cluster number: 3
=================================================================================
=================================================================================
Cluster number: 4
=================================================================================
=================================================================================
Cluster number: 5
=================================================================================
full_ticker_df = get_full_ticker_df('hour', cripto_list_sample, 50)
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[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] CCCAGG market does not exist for this coin pair (GFCE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEXBT-USD) [ERROR] CCCAGG market does not exist for this coin pair (NXD-USD) [ERROR] CCCAGG market does not exist for this coin pair (BPRIVA-USD) [ERROR] CCCAGG market does not exist for this coin pair (GOFX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CALC-USD) [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] CCCAGG market does not exist for this coin pair (ENCX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CC10-USD) [ERROR] CCCAGG market does not exist for this coin pair (FEN-USD) [ERROR] CCCAGG market does not exist for this coin pair (GRX-USD) [ERROR] CCCAGG market does not exist for this coin pair (88MPH-USD) [ERROR] CCCAGG market does not exist for this coin pair (H2O-USD) [ERROR] CCCAGG market does not exist for this coin pair (MOVEY-USD) [ERROR] CCCAGG market does not exist for this coin pair (LTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIU-USD) [ERROR] CCCAGG market does not exist for this coin pair (EGAME-USD) [ERROR] CCCAGG market does not exist for this coin pair (POK-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEVER-USD) [ERROR] CCCAGG market does not exist for this coin pair (LHD-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEWO-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPKR-USD) [ERROR] CCCAGG market does not exist for this coin pair (ERY-USD) [ERROR] CCCAGG market does not exist for this coin pair (GODZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (NFTT-USD) [ERROR] CCCAGG market does not exist for this coin pair (RAKU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CHEDDA-USD) [ERROR] CCCAGG market does not exist for this coin pair (VIBLO-USD) [ERROR] CCCAGG market does not exist for this coin pair (BHIVE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NVDX-USD)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
plot_clustering_metrics(tickers_scaled, "euclidean")
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n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "euclidean")
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
results_of_clustering['hour'] = show_tikers_in_claster(df)
plot_cluster_tickers_for_clusters(df, n_clusters)
=================================================================================
Cluster number: 0
=================================================================================
=================================================================================
Cluster number: 1
=================================================================================
=================================================================================
Cluster number: 2
=================================================================================
=================================================================================
Cluster number: 3
=================================================================================
=================================================================================
Cluster number: 4
=================================================================================
=================================================================================
Cluster number: 5
=================================================================================
full_ticker_df = get_full_ticker_df('min', cripto_list_sample, 50)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
plot_clustering_metrics(tickers_scaled, "euclidean")
0%| | 0/1001 [00:00<?, ?it/s]
[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] CCCAGG market does not exist for this coin pair (GFCE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEXBT-USD) [ERROR] CCCAGG market does not exist for this coin pair (NXD-USD) [ERROR] CCCAGG market does not exist for this coin pair (BPRIVA-USD) [ERROR] CCCAGG market does not exist for this coin pair (GOFX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CALC-USD) [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] CCCAGG market does not exist for this coin pair (KOKO-USD) [ERROR] CCCAGG market does not exist for this coin pair (CQST-USD) [ERROR] CCCAGG market does not exist for this coin pair (LIZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (EXCC-USD) [ERROR] CCCAGG market does not exist for this coin pair (ESG-USD) [ERROR] CCCAGG market does not exist for this coin pair (VSD-USD) [ERROR] CCCAGG market does not exist for this coin pair (MYRA-USD) [ERROR] CCCAGG market does not exist for this coin pair (LQDR-USD) [ERROR] CCCAGG market does not exist for this coin pair (PERMIAN-USD) [ERROR] CCCAGG market does not exist for this coin pair (VPP-USD) [ERROR] CCCAGG market does not exist for this coin pair (DSCVR-USD) [ERROR] CCCAGG market does not exist for this coin pair (BSOV-USD)
0%| | 0/8 [00:00<?, ?it/s]
n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "euclidean")
results_of_clustering['min'] = show_tikers_in_claster(df)
plot_cluster_tickers_for_clusters(df, n_clusters)
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
=================================================================================
Cluster number: 0
=================================================================================
=================================================================================
Cluster number: 1
=================================================================================
=================================================================================
Cluster number: 2
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Cluster number: 3
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Cluster number: 4
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Cluster number: 5
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full_ticker_df = get_full_ticker_df('day', cripto_list_sample, 50)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
plot_clustering_metrics(tickers_scaled, "dtw")
0%| | 0/1001 [00:00<?, ?it/s]
[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] You are over your rate limit please upgrade your account! [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] CCCAGG market does not exist for this coin pair (KOKO-USD) [ERROR] CCCAGG market does not exist for this coin pair (CQST-USD) [ERROR] CCCAGG market does not exist for this coin pair (LIZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (EXCC-USD) [ERROR] CCCAGG market does not exist for this coin pair (ESG-USD) [ERROR] CCCAGG market does not exist for this coin pair (VSD-USD) [ERROR] CCCAGG market does not exist for this coin pair (MYRA-USD) [ERROR] CCCAGG market does not exist for this coin pair (LQDR-USD) [ERROR] CCCAGG market does not exist for this coin pair (PERMIAN-USD) [ERROR] CCCAGG market does not exist for this coin pair (VPP-USD) [ERROR] CCCAGG market does not exist for this coin pair (DSCVR-USD) [ERROR] CCCAGG market does not exist for this coin pair (BSOV-USD) [ERROR] CCCAGG market does not exist for this coin pair (OPA-USD) [ERROR] CCCAGG market does not exist for this coin pair (POLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (LOCK-USD) [ERROR] CCCAGG market does not exist for this coin pair (SPXC-USD) [ERROR] CCCAGG market does not exist for this coin pair (LATX-USD) [ERROR] CCCAGG market does not exist for this coin pair (TRINI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MLA-USD) [ERROR] CCCAGG market does not exist for this coin pair (UNIC-USD) [ERROR] CCCAGG market does not exist for this coin pair (DEK-USD)
0%| | 0/8 [00:00<?, ?it/s]
n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "dtw")
results_of_clustering['day_dtw'] = show_tikers_in_claster(df)
plot_cluster_tickers_for_clusters(df, n_clusters)
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
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Cluster number: 5
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full_ticker_df = get_full_ticker_df('hour', cripto_list_sample, 50)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
plot_clustering_metrics(tickers_scaled, "dtw")
0%| | 0/1001 [00:00<?, ?it/s]
[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] CCCAGG market does not exist for this coin pair (GFCE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEXBT-USD) [ERROR] CCCAGG market does not exist for this coin pair (NXD-USD) [ERROR] CCCAGG market does not exist for this coin pair (BPRIVA-USD) [ERROR] CCCAGG market does not exist for this coin pair (GOFX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CALC-USD) [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] CCCAGG market does not exist for this coin pair (KOKO-USD) [ERROR] CCCAGG market does not exist for this coin pair (CQST-USD) [ERROR] CCCAGG market does not exist for this coin pair (LIZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (EXCC-USD) [ERROR] CCCAGG market does not exist for this coin pair (ESG-USD) [ERROR] CCCAGG market does not exist for this coin pair (VSD-USD) [ERROR] CCCAGG market does not exist for this coin pair (MYRA-USD) [ERROR] CCCAGG market does not exist for this coin pair (LQDR-USD) [ERROR] CCCAGG market does not exist for this coin pair (PERMIAN-USD) [ERROR] CCCAGG market does not exist for this coin pair (VPP-USD) [ERROR] CCCAGG market does not exist for this coin pair (DSCVR-USD) [ERROR] CCCAGG market does not exist for this coin pair (BSOV-USD)
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n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "dtw")
results_of_clustering['hour_dtw'] = show_tikers_in_claster(df)
plot_cluster_tickers_for_clusters(df, n_clusters)
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
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Cluster number: 2
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Cluster number: 3
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Cluster number: 4
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Cluster number: 5
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full_ticker_df = get_full_ticker_df('min', cripto_list_sample, 50)
tickers_scaled = scale_and_plot_ticker_df(full_ticker_df)
plot_clustering_metrics(tickers_scaled, "dtw")
0%| | 0/1001 [00:00<?, ?it/s]
[ERROR] CCCAGG market does not exist for this coin pair (CYS-USD) [ERROR] CCCAGG market does not exist for this coin pair (CFXQ-USD) [ERROR] CCCAGG market does not exist for this coin pair (OWN-USD) [ERROR] CCCAGG market does not exist for this coin pair (FOCV-USD) [ERROR] CCCAGG market does not exist for this coin pair (VYBE-USD) [ERROR] CCCAGG market does not exist for this coin pair (GFCE-USD) [ERROR] CCCAGG market does not exist for this coin pair (NEXBT-USD) [ERROR] CCCAGG market does not exist for this coin pair (NXD-USD) [ERROR] CCCAGG market does not exist for this coin pair (BPRIVA-USD) [ERROR] CCCAGG market does not exist for this coin pair (GOFX-USD) [ERROR] CCCAGG market does not exist for this coin pair (CALC-USD) [ERROR] CCCAGG market does not exist for this coin pair (POSTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (XDAG-USD) [ERROR] CCCAGG market does not exist for this coin pair (DINU-USD) [ERROR] CCCAGG market does not exist for this coin pair (CBOT-USD) [ERROR] CCCAGG market does not exist for this coin pair (FIWA-USD) [ERROR] CCCAGG market does not exist for this coin pair (KRN-USD) [ERROR] CCCAGG market does not exist for this coin pair (POCKET-USD) [ERROR] CCCAGG market does not exist for this coin pair (CDPT-USD) [ERROR] CCCAGG market does not exist for this coin pair (PKT-USD) [ERROR] CCCAGG market does not exist for this coin pair (BTSG-USD) [ERROR] CCCAGG market does not exist for this coin pair (LEXI-USD) [ERROR] CCCAGG market does not exist for this coin pair (MVC-USD) [ERROR] CCCAGG market does not exist for this coin pair (AWORK-USD) [ERROR] CCCAGG market does not exist for this coin pair (WOLFY-USD) [ERROR] CCCAGG market does not exist for this coin pair (OCB-USD) [ERROR] CCCAGG market does not exist for this coin pair (MANDOX-USD) [ERROR] CCCAGG market does not exist for this coin pair (FAMILY-USD) [ERROR] CCCAGG market does not exist for this coin pair (WELD-USD) [ERROR] CCCAGG market does not exist for this coin pair (TWEP-USD) [ERROR] CCCAGG market does not exist for this coin pair (GPS-USD) [ERROR] CCCAGG market does not exist for this coin pair (DBTC-USD) [ERROR] CCCAGG market does not exist for this coin pair (FLURRY-USD) [ERROR] CCCAGG market does not exist for this coin pair (EPANUS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PRTG-USD) [ERROR] CCCAGG market does not exist for this coin pair (MARGINLESS-USD) [ERROR] CCCAGG market does not exist for this coin pair (PXB-USD) [ERROR] CCCAGG market does not exist for this coin pair (COLL-USD) [ERROR] CCCAGG market does not exist for this coin pair (PLX-USD) [ERROR] CCCAGG market does not exist for this coin pair (KOKO-USD) [ERROR] CCCAGG market does not exist for this coin pair (CQST-USD) [ERROR] CCCAGG market does not exist for this coin pair (LIZ-USD) [ERROR] CCCAGG market does not exist for this coin pair (EXCC-USD) [ERROR] CCCAGG market does not exist for this coin pair (ESG-USD) [ERROR] CCCAGG market does not exist for this coin pair (VSD-USD) [ERROR] CCCAGG market does not exist for this coin pair (MYRA-USD) [ERROR] CCCAGG market does not exist for this coin pair (LQDR-USD) [ERROR] CCCAGG market does not exist for this coin pair (PERMIAN-USD) [ERROR] CCCAGG market does not exist for this coin pair (VPP-USD) [ERROR] CCCAGG market does not exist for this coin pair (DSCVR-USD) [ERROR] CCCAGG market does not exist for this coin pair (BSOV-USD)
0%| | 0/8 [00:00<?, ?it/s]
n_clusters = 6
ts_kmeans, df = train_and_plot_algo(n_clusters, tickers_scaled, full_ticker_df, "dtw")
results_of_clustering['min_dtw'] = show_tikers_in_claster(df)
plot_cluster_tickers_for_clusters(df, n_clusters)
C:\Users\oleg\AppData\Roaming\Python\Python39\site-packages\tslearn\utils\utils.py:90: UserWarning: 2-Dimensional data passed. Assuming these are 50 1-dimensional timeseries warnings.warn(
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Cluster number: 2
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Cluster number: 3
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Cluster number: 4
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Cluster number: 5
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Как видно, все подходы группируют похожим образом
биткоин оказывается в одной группе с одинаковыми монетами (BTC, BLOC, BTBL ...)
однако есть отличия в групировках с другими монетами
pd.concat(results_of_clustering, ignore_index=False, axis=1)
| day | hour | min | day_dtw | hour_dtw | min_dtw | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ticker | № of tickers in claster | ticker | № of tickers in claster | ticker | № of tickers in claster | ticker | № of tickers in claster | ticker | № of tickers in claster | ticker | № of tickers in claster | |
| cluster | ||||||||||||
| 0 | APM G1X | 2 | DDX LAYER YIELD GMT WHO ZIPT TTV BOLTT | 8 | WAB | 1 | DDX APM G1X LOON GLC MEME STOX | 7 | ETBS BTBL MOT APM AEN MART BITTO WAB CSNO CAID | 10 | ETBS LUA LVX MART EDR DARK NFD LOON CSNO GC GLC TDFB BBS LGX CAID | 15 |
| 1 | ETBS LUA LVX GMAT BTBL MOT CHSB AEN YIELD GMT MART EDR DARK BITTO HBD WAB MWC STORJ CSNO NFTX LGX | 21 | ETBS BTBL MOT APM AEN MART BITTO WAB JCT LTZ MOAC BQTX | 12 | BTC BLOC GMAT BTBL MOT SWC SOLA AVH AEN MDM SSD WCT YIELD FTX BITTO HBD MWC STORJ WHO ZIPT NOBS PHC MEME NOR | 24 | BTC BLOC FIDA MDM SSD WCT GMT FTX PHC BBS SLX INC | 12 | BTC BLOC RPL CHSB SOLA AVH FIDA G1X MDM SSD WCT FTX HBD MWC STORJ LOON PHC NFTX NOR | 19 | BTC BLOC GMAT BTBL MOT SWC SOLA AVH AEN MDM SSD WCT YIELD FTX BITTO HBD WAB MWC STORJ WHO ZIPT NOBS PHC MEME NOR | 25 |
| 2 | BTC BLOC RPL SWC SOLA AVH MDM SSD WCT FTX WHO ZIPT NOBS GC PHC BBS | 16 | BTC BLOC SOLA AVH MDM SSD WCT FTX HBD MWC STORJ INC TIMI | 13 | RPL | 1 | LUA LVX MART EDR DARK TDFB LGX CADN WAY | 9 | SWC NOBS GC GLC | 4 | CHSB APM | 2 |
| 3 | DDX FIDA TDFB | 3 | LUA LVX RPL CHSB CQT FIDA G1X EDR DARK WAY | 10 | ETBS LUA LVX DDX CHSB LAYER APM MART EDR DARK NFD LOON CSNO GC GLC TDFB NFTX BBS LGX CAID | 20 | ETBS AEN BITTO WAB CSNO RCT SHREK | 7 | DDX CQT LAYER YIELD GMT WHO ZIPT MEME | 8 | DDX RPL NFTX | 3 |
| 4 | NFD LOON NOR | 3 | GMAT SWC NFD CORAL | 4 | FIDA G1X GMT | 3 | GMAT BTBL YIELD NFD HBD MWC STORJ WHO ZIPT NFTX NOR CAID TTV | 13 | LUA LVX EDR DARK TDFB BBS LGX | 7 | FIDA G1X GMT | 3 |
| 5 | CQT LAYER GLC MEME CAID | 5 | NOTE SBR DKA | 3 | CQT | 1 | NOBS GC | 2 | GMAT NFD | 2 | CQT LAYER | 2 |